Humboldt-Xiamen Workshop

In April 2008, Xiamen University and Humboldt University at Berlin launched a series of workshops.

The First XMU-HUB Workshop, organized by Wang Yanan Institute for Studies in Economics (WISE), took place at Xiamen University.

The second workshop will have a focus on topics in applied statistics and econometrics. It is preceded by a conference, which covers all areas in economics and finance.

Participation is not restricted to affiliates of Xiamen or Humboldt University. We explicitly invite academics from other universities to submit papers and to participate.


Session: Financial Engineering
Jenher Jeng; 09:30 - 11:00; room 23

Efficient Option Pricing Using the Fast Fourier Transforms
Yue Kuen Kwok; Hong Kong University of Science and Technology
Estimating Pricing Kernel via Series Methods
Maria Grith; Humboldt University Berlin
General Adaptive Principals for tracking Nonlinear Dynamics
Jenher Jeng;


Session: Financial Statistics
Shih-Feng Huang; 09:30 - 11:00; room 22

Forecasting volatility: an intergrated framework
kent wang; WISE. XMU
Genetics and/of basket options
Silyakova, Elena; Ladislaus von Bortkiewicz Chair of Statistics, School of Business and Economics, Humboldt-Universität zu Berlin
Optimal Multi-Period Quadratic Risk-Adjusted Hedging Strategy
Shih-Feng Huang;


Session: Visualisation of High Dimensional Data
Chun Houh Chen; 09:30 - 11:00; room 21b

Geometric Visualization of Global Dynamic Asset Allocation
Wei-Fang Niu; G5 Capital Management
Matrix visualization with applications: EDA for the 21st century
Chun-houh Chen; Academia Sinica
Properties of Hierarchical Archimedean Copulas
Ostap Okhrin; Humboldt Universität zu Berlin


Session: Financial Mathematics
Denis Belomestny; 11:30 - 13:00; room 22

Localizing Temperature Risk
Brenda López Cabrera; Humboldt University at Berlin
Pricing Temperature around the Globe
W K Härdle; HU Berlin
Statistical inference for multidimensional time-changed Levy processes with application to finance
Denis Belomestny; WIAS


Session: Financial Econometrics II
Zong Wu Cai; 11:30 - 13:00; room 23

Bayesian inference of the economy state in real time
Fuyu Yang; Institute for Statistics and Econometrics, Humboldt-Universität zu Berlin
Forecasting Short-Horizon Systemic Covariance Risk
Nikolaus Hautsch;
Understanding the spurious regression in financial economics by the new estimation
Shin-Huei Wang; CORE, UCL and FUNDP , Academ ie Louvain


Session: Public Economics II
Bengt-Arne Wickström ; 11:30 - 13:00; room 21b

Chinese Environmental Innovation Policy: Retrospect and Prospect
Huang Haifeng; Beijing University of Technology
Information and Communication Technologies and Geographic Concentration of Manufacturing Industries: Evidence from China
Junjie Hong; University of International Business and Economics
Returns to Schooling in the Palestinian Territories - Revised
Nannette Schliebner; HU


Keynote lecture:

Yongmiao Hong, Cornell University & Xiamen University
Autoregressive Conditional Models for Interval-Valued Time Series Data
time: 14:00 - 15:00, venue: chapel



Session: Statistical Methods II
Wolfgang Härdle; 15:30 - 17:00; room 23

Generalized Dynamic Semiparametric Factor Model with Applications in Weather, Neroeconomics and Finance
Song Song; Humboldt-Universität zu Berlin
Generalized single-index models: The EFM Approach
Lixing Zhu; Hong Kong Baptist University
Maps on Quantlets
Guan-Cheng Li; University of California, Berkeley, USA


Session: Computational Biology
Grace S. Shieh; 15:30 - 17:00; room 22

Methods for analyzing the preservation of gene co-expression networks
Steve Horvath; University of California, Los Angeles
Patching gene network puzzles
Grace S.Shieh; Institute of Statistical Science, Academia Sinica, Taipei 115, Taiwan.
Variable importance and selection by decorrelation with application to omics data
Korbinian Strimmer; University of Leipzig


Keynote lecture:

Henry Lu, National Chiao Tung University
Is Less More? On Statistical Investigation for Large Biological Networks
time: 17:00 - 18:00, venue: chapel